Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single‐Stock Futures Market
研究台湾现货市场引入日内连续竞价方法对个股期货价格发现的影响，发现交易方法对齐能改善价格发现，且杠杆效应在方法对齐后对价格发现具有显著正向作用。
ABSTRACT This study examines the impact of implementing an intraday continuous auction method in Taiwan's spot market on price discovery in the single‐stock futures (SSFs) market. The findings highlight the advantages of aligning the trading method of the underlying spot market with that of the SSF market, leading to improved price discovery in SSFs. A difference‐in‐differences analysis validates our findings. In addition, key factors such as spread, liquidity, and information intensity significantly influence cross‐sectional variation in price discovery. Notably, leverage—a fundamental feature of futures contracts—has a strong and positive effect on SSF price discovery following this alignment of trading methods.